Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0889
Annualized Std Dev 0.5119
Annualized Sharpe (Rf=0%) 0.1736

Row

Daily Return Statistics

Close
Observations 3562.0000
NAs 1.0000
Minimum -0.2658
Quartile 1 -0.0131
Median 0.0020
Arithmetic Mean 0.0009
Geometric Mean 0.0003
Quartile 3 0.0162
Maximum 0.2120
SE Mean 0.0005
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0019
Variance 0.0010
Stdev 0.0322
Skewness -0.4248
Kurtosis 7.5700

Downside Risk

Close
Semi Deviation 0.0235
Gain Deviation 0.0222
Loss Deviation 0.0254
Downside Deviation (MAR=210%) 0.0273
Downside Deviation (Rf=0%) 0.0231
Downside Deviation (0%) 0.0231
Maximum Drawdown 0.8854
Historical VaR (95%) -0.0498
Historical ES (95%) -0.0776
Modified VaR (95%) -0.0510
Modified ES (95%) -0.0992
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2013-11-27 -0.8854 1635 444 1191
2018-09-04 2020-03-23 2020-12-17 -0.7174 578 390 188
2015-06-24 2016-02-11 2016-11-18 -0.4672 357 161 196
2014-03-05 2014-10-13 2014-12-26 -0.2456 207 155 52
2018-01-24 2018-02-08 2018-05-17 -0.1772 80 12 68

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 2.3 -0.7 0.2 0.8 1.2 -1.7 1 2.3 4.8 -7.2 0.1 -1.4 1
2008 5.4 -4.9 7.4 4 1 0 0.7 -1.5 -1 8.9 -23.9 5.2 -3.3
2009 -4.1 -0.9 4.3 1.1 7.6 2.6 -1.1 -5 -6.2 -5.4 3.2 -2.5 -7.2
2010 2.2 4.5 1.8 -5.8 -6 -1.6 0.3 7.8 1.1 -1.3 4.5 -1.6 5.2
2011 4.6 -3.9 0.8 0.4 -6.2 2.8 -0.8 -4.2 -6.3 -6.4 -1.4 -0.9 -20.2
2012 4.3 1.1 -0.5 0.1 -5.8 6.4 -3.6 0.9 1 2.5 -0.2 4.1 10
2013 1.9 1.1 -2.4 -5 -2.3 3.1 2.7 -2.9 2.3 -1.1 0.1 0.4 -2.4
2014 -1.2 -0.7 2.7 -0.2 -1 2.2 -0.6 1.2 -2.7 3 -3.1 -1.2 -2
2015 -4.2 -0.9 0.6 1.4 0.7 0.5 1.1 -5.5 -0.2 -1 1.2 -2.6 -8.8
2016 -0.9 4.2 0.9 -1.9 1.4 0.8 0 0.2 2.2 -2.4 -1.1 -0.7 2.4
2017 0.1 3.7 0.4 1.1 3.9 -0.3 0.4 1 0.4 -1.3 -1 -1.7 6.7
2018 0.7 -0.7 2 1.1 1.5 -0.3 -0.3 0.8 -2.8 4.2 1.1 1.5 8.9
2019 0.3 1.9 2 -2 -2.7 0.8 -2.9 -0.4 -3.8 3.4 -1.2 0.3 -4.2
2020 -4.1 -2.6 -13.7 -7.5 2.2 -1.8 -2 2.3 3.1 -2.7 1.6 -0.4 -23.9
2021 4.9 7.2 1.5 NA NA NA NA NA NA NA NA NA 14.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-01-25  35.5 SPY    142. -0.0117  -0.002    0.0045   0.0348    0.124    0.243    0.256 GLD    64.1 -4.20e-3   0.0289
2 2007-01-26  35.1 SPY    142. -0.0007  -0.0046   0.01     0.031     0.122    0.227    0.252 GLD    64.1  6.00e-4   0.0175
3 2007-01-29  35.7 SPY    142. -0.0008  -0.0023   0.0033   0.0267    0.115    0.239    0.251 GLD    63.8 -5.10e-3   0.0167
4 2007-01-30  36.1 SPY    143.  0.0052  -0.0001   0.002    0.0289    0.111    0.260    0.254 GLD    64.2  7.10e-3  -0.0002
5 2007-01-31  36.2 SPY    144.  0.0067  -0.0014   0.0108   0.0423    0.119    0.267    0.304 GLD    64.8  9.50e-3   0.0078
6 2007-02-01  37.0 SPY    145.  0.006    0.0165   0.0211   0.0493    0.134    0.274    0.293 GLD    65.2  6.00e-3   0.0181
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart